Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database
研究发现OptionMetrics数据库记录的期权价格与收盘价存在一分钟时间差，导致隐含波动率出现人为波动，尤其在COVID-19疫情期间影响显著；欧洲指数期权存在看跌-看涨平价偏差，股票期权隐含波动率因股息信息错误出现异常聚类。
Abstract For stock and index options in the United States, OptionMetrics records prices at 3:59 p.m., not 4:00 p.m. as assumed in previous literature. The resulting 1‐min time discrepancy with closing share prices creates artificial variability in implied volatility spreads and strongly affects market‐wide spreads. It leads to particularly large distortions at the onset of the COVID‐19 pandemic. For index options in Europe, OptionMetrics data show large deviations from put‐call parity even though the original option prices match the parity exactly. Finally, the implied volatilities of stock options in Europe show clusters of exceptional deviations due to incorrect dividend information.